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RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/17/20

Key Features in this Release:

  • This week’s release features the relaunch of the 3-Year T-Note future with complete support of the “3Y” contract in the RiskVal suite. Key sheets include: USD 2+ Trsy RVS graph, USD Bond, Sprd/Bfly, Invoice Spread, Future Calendar Roll, Future CTD Scenario and Future Net Basis Forecast

  • Enhanced the Horizontal Analysis calculation for futures which will capture the carry profile with “Future Carry + Roll based on CTD” flag enabled

  • Allow traders to select the line items by “Strategy” to calculate the PnL from the “Blotter Manager”

  • Enhanced Cap/Floor pricing such that traders can now define the volatility spread between the base fixing index and other fixing indexes Cap/Floor

  • Updated the “Color Management” to include “Coupon High/Low” customization to apply color by coupon range

  • User can enter the MYY of the maturity of the bond, the bond with the lowest coupon and that maturity will be populated

Minor Fixes & Enhancements:

NZD Bond: Added Central Bank Holding %, Central Bank Holding Size, and Float Size in Billions (Issue Sz B – CB Hold Sz B)

Future CTD: Added Wildcard historical data for the CAD Futures


  • Enhanced the “Trsy Bond” such that RiskVal finds the matched treasury bond that corresponds with the issue date of the TIPS bond

  • Allow traders right-click from the “Trsy Bond” cell to reset to default

Forward Swap Matrix: auto save strategy order if users use the ctrl key + up/down arrows


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